A rather interesting take on chess, the company Chess Ammo designed a set using brass and aluminum copies of actual cartridges. I’ll link their site if you want buy a set ($65.00) but you could also make your own with your calibers of choice. Their piece-to-ammo chart is below.
Pawn = 9x19mm
Rook = 50 Action Express
Knight = .454 Casull
Bishop = 7.62x39mm (Cartridge represented is actually 5.56x45mm)